High‐dimensional sparse multivariate stochastic volatility models

DOI10.1111/JTSA.12647arXiv2201.08584OpenAlexW4221150670MaRDI QIDQ6135331FDOQ6135331

Manabu Asai, Benjamin Poignard

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: Although multivariate stochastic volatility models usually produce more accurate forecasts compared to the MGARCH models, their estimation techniques such as Bayesian MCMC typically suffer from the curse of dimensionality. We propose a fast and efficient estimation approach for MSV based on a penalized OLS framework. Specifying the MSV model as a multivariate state space model, we carry out a two-step penalized procedure. We provide the asymptotic properties of the two-step estimator and the oracle property of the first-step estimator when the number of parameters diverges. The performances of our method are illustrated through simulations and financial data.

Full work available at URL: https://arxiv.org/abs/2201.08584

zbMATH Keywords

forecastingmultivariate stochastic volatilitypenalized M-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes (62Mxx)

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Cited In (4)

• Sparse vector heterogeneous autoregressive modeling for realized volatility
• An extended sparse max-linear moving model with application to high-frequency financial data
• Modelling NASDAQ series by sparse multifractional Brownian motion
• Analysis of high dimensional multivariate stochastic volatility models

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